Diagonal Spread VS Ratio Spread VS Dynamic Delta Hedge

[Windlesham1]

Vol is *always* mispriced? You must be one of the richest men in the world.

Why do calendar's disspoint you?

Why would you be listening to TastyTrade after 15 years of arbitraging all the mispriced implieds?

I said Vega is mis-priced that doesn't mean I know how to trade it does it? I'm not a good trader but I make money by trading within my limits and not trying to be clever-remember LTCM- genius fails frequently and it's a market-the clue's in the name. TT is mildly entertaining and I often disagree with them but I'm not some smug a**hole who obviously makes millions-just a bloke who makes a profit

 

[convexx]

Thank you all. It is a hit on the head.

Horizontal spread exposes the Vol term structure risk! Basically, short-date IV and longer-date IV is not perfectly correlated. Now, I got one more

4) Straddle/Strangle + Delta Neutral


Hi Convexx,
You said can't run Gamma neutral w/o long Vega. I think it is possible, it is mix-and-match problem by combining different strike/maturity. Combination of Long/Short short-date/long-date option can create different sign of Gamma/Vega exposure, (I recall Taleb's book showing a table on this). Unless you are saying this is not feasible dynamically? Please enlighten.

You can with a diagonal. I was referring to a same-strike spread. I should have elaborated.